Helix Shaped / curved Road
Curve Modifier with Spiral

You can't keep the materials or the mesh structure (yelow and black alternance) with the screw modifier because it was made to work with 2D profiles, not 3D objects.

You could instead go back to the array and use the Curve modifier (instead of Simple deform modifier) to bend the array using a spiral curve as deforming object.

You can use the "Add Curve: Extra objects" add-on to quickly generate a Archmedian or Logaritìthmic curve with the needed radiut and height displace.

Here's a possible modifiers stack for the object.



After that, fix the "rollercoaster effect" by switching to Z-Up twisting method in the curve parameter. 



You can now repeat the road turn for each level of the building with an another array modifier.